As it is known, the so-called “Santa Claus rally” effect happens during the period of growth in the U.S. stock market from the first trading session after Christmas to the second trading session of the New Year, Market Watch writes.

No one has yet determined exactly when such a rally should begin and end. Market Watch columnist Mark Hulbert tried to understand this question. To do so, he took the oldest blue chip index, the DJIA (Dow Jones), which gained 0.45% from Thanksgiving (the last Thursday in November) to its highest closing level in December. Since 1896, when the index was created, its average gain when measured this way has been 3.35%, or the equivalent of more than 1,100 points today. However, growth potentials in other months are similarly measured, and many may even exceed potential gains after Thanksgiving. The Examiner calculated the average rise from the fourth Thursday of each month (equivalent to Thanksgiving) to the following month’s high. And during the other 7 months, the market is more likely to rise than during the period beginning after Thanksgiving.

Thus, the potential Thanksgiving rise is below the 3.75% average for the other 11 months of the calendar. In other words, the few weeks after Thanksgiving were actually a below average growth period.

However, if you look at historical performance, you will see that the multi-day period beginning just after Christmas, December 25, is showing its best behavior. According to the Stock Traders Almanac, the real “Santa Claus rally” begins with the first trading session after Christmas and continues through the second trading session of the new year. During this period since 1896, the Dow Jones has gained 77% and added 1.5% on average. In all other periods of similar duration over the past 126 years, the Dow index has gained 56% times and has posted an average gain of just 0.2%.

Another significant plus can be seen in the fact that such a trend is magnified in years like this one, when the stock market was down year-to-date in the run-up to Christmas. On average in all such years since 1896, the Dow index gained 2.2% from December 25 to January 2, which compares to an average gain of 1.2% in years when the stock market posted year-over-year gains in the run-up to Christmas.